Once you have a clean starting point, unzip the VexParts_2.0.zip file into your LDraw directory. It will place all the parts in VexParts and it will place a few helper files in MODELS.
Get gawk from SourceForge and install it by executing the setup program. (Download the setup version at the top of the list - the one without sources.) Pick any install directory.
Make the gawk program usable in your shell. This can be by updating your PATH variable or by copying some files to your local Models directory. If you copy the files, make sure you get gawk.exe, libiconv2.dll, and libintl3.dll.
From within your shell, change to LDraw's MODEL directory. Then edit the updfiles.bat file to point at the model you want to convert (it should have an extension of ".ldr".) From your shell, execute the batch file. It will rename your original .ldr file to .ldr.old and then convert it back into the original file name.
If you put gawk in your PATH, you'll need to change the ".\gawk.exe" to just "gawk.exe" in the batch file.
Viola! You are done.